Some possible solutions when Epicor's 'Copy to Excel' is not working.
- Re-install Epicor
- Re-Install Excel (or repair the O365 installation)
- Delete their Windows User Profile and re-create it.
- The solution for me was to clear the cache using file explore. To do this, close Epicor entirely, make sure its not running in task manager, then navigate to C:\ProgramData\Epicor (note ProgramData needs to be made visible in File Explore) then delete the sub folders.